CCI Options History — March 2010

In March 2010, CCI traded between $36.88 and $39.80. ATM implied volatility averaged 24.7%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 2.1% (HV 20d: 22.5%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 2.77.

Notable Days

  • 2010-03-17: Highest Volume — 3,204 contracts
  • 2010-03-25: Largest IV spike — 49.0% change
  • 2010-03-25: Highest IV Rank — 35.8%
  • 2010-03-25: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.60$36.88$39.80$38.17$38.23
Max Pain$35.87$35.00$40.00$40.00$35.00
ATM IV24.7%19.7%34.5%19.7%25.2%
Expected Move7.2%5.7%9.9%5.7%7.2%
HV 20d22.5%18.9%25.6%23.7%25.5%
HV 60d22.7%22.0%24.0%22.7%23.8%
IV Rank15.1%4.3%35.8%4.3%17.0%
IV Percentile7.4%0.8%45.2%0.8%12.7%
Term Structure2.6%-1.6%4.1%2.5%3.2%
VWIV26.0%22.8%33.4%23.7%22.8%
Skew 25d7.7%4.8%11.0%7.2%6.6%
Skew 10d12.5%3.3%22.3%12.1%9.0%
Call IV 25d22.7%19.3%27.9%23.8%25.0%
Put IV 25d30.4%27.9%34.3%31.0%31.6%
Bid-Ask Spread %13.878.1628.8723.5914.00
Gamma HHI0.330.300.410.310.32
Net GEX140.4K-667.1K787.7K15.5K63.0K
Net DEX-10.1M-19.9M-427.2K-6.1M-12.2M
Net VEX-201.1K-222.1K-182.9K-218.1K-182.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.770.0129.211.300.71
Total Volume600.17403,2046229
Total OI37,689.69632,53041,96538,54333,961

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-03-01$38.17$40.0019.7%5.7%23.7%4.3%23.7%7.2%2.5%15.5K-6.1M-218.1K1.3023.59273518,24220,301
2010-03-02$38.32$40.0024.2%6.9%23.6%11.5%24.4%6.5%1.4%37.8K-6.6M-215.8K29.2123.562470118,26920,309
2010-03-03$38.56$40.0025.2%7.2%23.7%13.1%25.2%6.5%0.4%87.5K-8.8M-220.0K6.3828.878453618,29221,009
2010-03-04$38.92$40.0023.6%6.8%23.1%12.3%0.0%8.1%2.0%166.1K-10.9M-222.1K0.0023.3602018,37021,419
2010-03-05$39.40$35.0023.4%7.3%18.9%11.9%31.6%10.4%3.4%348.9K-16.5M-219.7K1.8910.729117218,36521,419
2010-03-08$38.47$35.0021.0%7.5%21.1%7.5%27.6%8.9%2.4%64.5K-6.8M-212.4K1.2111.03738818,41721,469
2010-03-09$39.29$35.0023.6%7.2%21.8%12.3%25.1%10.6%3.3%365.3K-14.5M-210.9K1.1014.6342747018,42521,476
2010-03-10$39.46$35.0023.9%7.5%21.8%13.6%26.0%10.5%2.2%456.4K-16.6M-212.2K0.9411.61666218,52021,670
2010-03-11$39.44$35.0025.7%7.4%21.8%17.8%0.0%10.3%2.6%440.6K-15.2M-209.0K0.0010.840018,41021,684
2010-03-12$39.28$35.0024.7%7.1%20.2%15.7%24.7%10.3%3.5%453.8K-13.3M-203.4K2.2412.686314118,41021,684
2010-03-15$38.80$35.0025.1%7.2%20.8%16.4%25.7%8.2%3.1%270.2K-6.8M-199.6K0.1910.6147918,44221,791
2010-03-16$39.80$35.0025.9%7.4%21.8%18.2%25.9%11.0%2.7%787.7K-19.9M-198.3K0.0314.961,6184518,43821,795
2010-03-17$39.10$35.0023.9%6.9%22.6%14.1%23.9%8.6%3.2%750.2K-10.9M-193.8K0.548.492,0821,12219,72221,781
2010-03-18$38.56$35.0023.8%6.8%23.2%13.9%23.9%7.0%3.3%60.3K-427.2K-193.6K0.2512.9355913819,38222,583
2010-03-19$38.39$35.0023.4%6.7%23.2%13.1%25.1%5.8%4.0%58.8K-2.3M-194.7K1.4613.2318827419,46422,200
2010-03-22$38.62$35.0023.6%6.8%23.1%13.4%23.9%6.5%3.9%64.1K-12.9M-190.4K0.348.162217614,51718,013
2010-03-23$38.71$35.0023.2%6.7%20.1%12.6%23.5%6.1%3.9%177.6K-14.2M-190.9K1.0711.62434614,54417,997
2010-03-24$38.37$35.0023.2%6.6%19.5%12.6%23.2%5.1%4.1%44.3K-12.3M-191.7K0.0111.24191114,57717,973
2010-03-25$36.88$35.0034.5%9.9%24.2%35.8%33.4%6.3%-1.6%-486.2K-3.0M-190.2K6.0611.043862,34114,67317,973
2010-03-26$37.04$35.0031.9%9.1%24.3%30.4%28.4%4.8%-0.1%-667.1K-2.8M-187.3K0.059.37170914,53719,111
2010-03-29$37.68$35.0024.2%6.9%24.9%14.6%30.8%5.9%2.9%-391.8K-7.1M-183.4K2.8510.3114340814,57119,115
2010-03-30$38.31$35.0024.5%7.0%25.6%15.3%26.8%6.6%3.7%61.0K-11.8M-185.8K0.2812.0945312514,63418,909
2010-03-31$38.23$35.0025.2%7.2%25.5%17.0%22.8%6.6%3.2%63.0K-12.2M-182.9K0.7114.00171215,04318,918